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arXiv · 1012.3448

Occupation times of spectrally negative L\'evy processes with applications

David Landriault·Jean-François Renaud·Xiaowen Zhou
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Abstract

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative L\'evy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative L\'evy process and its Laplace exponent. Applications to insurance risk models are also presented.

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David Landriault, Jean-François Renaud, Xiaowen Zhou. 2010-12-15. Occupation times of spectrally negative L\'evy processes with applications. https://arxiv.org/abs/1012.3448

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